docs: Arc 0 baseline — full research loop green from this project

Scaffold -> run -> sweep -> walkforward -> mc -> generalize -> reproduce, all over real recorded data (GER40/US500/EURUSD/XAUUSD, 2018-2026 m1). Zero engine friction; reproduce re-derived 6/6 sweep members bit-identically. Engine: aura @ 1ebb94c.
2026-07-13 15:13:50 +02:00
parent bc9552655e
commit 221c408ac7
1 changed files with 89 additions and 0 deletions
@@ -0,0 +1,89 @@
+# Arc 0 — baseline through the full research loop
+
+**Date:** 2026-07-13
+**Engine:** aura @ `1ebb94c` (release build)
+**Project commit at run time:** `bc95526` (the `aura new` scaffold, untouched)
+
+## Purpose
+
+Prove that an external, data-only project carries the entire research loop —
+scaffold → run → sweep → walkforward → mc → generalize → reproduce — on real
+recorded data. Arc 0 is explicitly *not* edge-finding: the starter blueprint
+(SMA 2/4 cross → bias) on minute bars is expected to be noise, and it is.
+Every friction found here is an engine finding; Arc 0 found none.
+
+## Universe and window
+
+| instrument | pip (sidecar) | coverage used |
+|---|---|---|
+| GER40 | 1 | 2018-01-01 .. 2026-06-30 |
+| US500 | 1 | 2018-01-01 .. 2026-06-30 |
+| EURUSD | 0.0001 | 2018-01-01 .. 2026-06-30 |
+| XAUUSD | 0.1 | 2018-01-01 .. 2026-06-30 |
+
+Window flags: `--from 1514764800000 --to 1782863999999` (Unix ms). Data root
+is the built-in archive default; `Aura.toml` needs no `data` entry.
+
+## What ran (all from this project directory)
+
+```bash
+aura sweep blueprints/signal.json --list-axes
+# aura_quadriga_signal.fast.length:I64 default=2
+# aura_quadriga_signal.slow.length:I64 default=4
+# aura_quadriga_signal.bias.scale:F64 default=0.5
+
+# baseline run, all four instruments (~3 s each, 8.5 y of m1 bars)
+aura run blueprints/signal.json --real GER40 --from 1514764800000 --to 1782863999999
+
+# sweep: bound-default overrides, 3x2 grid (1.9 s wall, 6 members)
+aura sweep blueprints/signal.json --real GER40 --from ... --to ... \
+  --axis aura_quadriga_signal.fast.length=2,4,8 \
+  --axis aura_quadriga_signal.slow.length=16,32 --name arc0-sweep-ger40
+
+# walkforward: 100 windows x 3 IS trials, deflation per window (5.8 s wall)
+aura walkforward blueprints/signal.json --real GER40 --from ... --to ... \
+  --axis aura_quadriga_signal.fast.length=2,4,8 --name arc0-wf-ger40
+
+# mc R-bootstrap: 1000 resamples over the OOS R-sequence (7.8 s wall)
+aura mc blueprints/signal.json --real GER40 --from ... --to ... \
+  --axis aura_quadriga_signal.fast.length=2,4,8 --resamples 1000
+
+# generalize: one candidate graded across the universe (5.3 s wall)
+aura generalize blueprints/signal.json --real GER40,US500,EURUSD,XAUUSD \
+  --axis aura_quadriga_signal.fast.length=8 --from ... --to ... --name arc0-generalize
+
+# registry + determinism
+aura runs families                      # lists the recorded content ids
+aura reproduce 6c20bf8d-0-GER40-w0-r0-s0-0   # 6/6 members bit-identical
+```
+
+## Headline results (noise, as expected)
+
+- Baseline expectancy_r per instrument: GER40 +0.0016, US500 −0.0164,
+  EURUSD −0.0143, XAUUSD −0.0149 (700–840k trades each — the m1 SMA cross
+  churns; conviction terciles and sqn_normalized ≈ 0).
+- Walkforward stitched OOS: expectancy_r +0.0016 over 490k trades,
+  param_stability shows the IS winner wandering (fast.length mean 4.58,
+  p5=2, p95=8) — a textbook no-edge picture.
+- MC R-bootstrap: P(E[R] ≤ 0) = 0.253 — indistinguishable from zero.
+- Generalize (fast.length=8): sign_agreement 3/4, worst_case −0.0024 —
+  no candidate survives the floor, correctly.
+
+## Engine verdicts
+
+- Manifests are self-describing: swept axes + stop regime in `params`,
+  untouched bound values in `defaults`, per-instrument sidecar pip in the
+  broker label, engine and project commits stamped.
+- Determinism holds from an external project: `reproduce` re-derived all
+  6 sweep members bit-identically.
+- Throughput: every verb over 8.5 years of m1 data finishes in single-digit
+  seconds on this box (sweep 527 % CPU, walkforward 1288 % — parallelism
+  across disjoint sims).
+- Friction found: none. (One near-miss: the raw `runs/families.jsonl`
+  `family` field is a storage key, not the reproduce handle — the public
+  path is `aura runs families` → `aura reproduce <family_id>`.)
+
+## Next
+
+Arc 1+ is real research over this universe (orthogonal confirm/refute
+components, conditional R-curve shapes) — direction to be set per arc.